Mathematical analysis of different approaches for replicating portfolios
type: Item
instance of: scholarly article
title: Mathematical analysis of different approaches for replicating portfolios
zbMATH Open document ID: 1329.91071
author: Jan Natolski
author: Ralf Werner
published in: European Actuarial Journal
publication date: 2016-01-22T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6534479
zbMATH Keywords: life insurance
zbMATH Keywords: replicating portfolio
zbMATH Keywords: market consistent valuation
zbMATH Keywords: cash flow matching
zbMATH Keywords: terminal value matching
MaRDI profile type: Publication
full work available at URL: s13385-014-0094-z
OpenAlex ID: W2012774501
cites work: On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
cites work: The pricing of options and corporate liabilities
cites work: Stochastic Finance
cites work: Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
cites work: On value preserving and growth optimal portfolios
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: Pricing and hedging guaranteed annuity options via static option replication.
DOI: 10.1007/S13385-014-0094-Z
description: scientific article; zbMATH DE number 6534479